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Test for conditional quantile change in general conditional heteroscedastic time series models

Author

Listed:
  • Sangyeol Lee

    (Seoul National University)

  • Chang Kyeom Kim

    (Seoul National University)

Abstract

This study aims to test for detecting a change point in the conditional quantile of general location-scale time series models. This issue is quite important in risk management because the conditional quantile is utilized to measure the value-at-risk or expected shortfall of financial assets. In this paper, we design two types of cumulative sum tests based on the conditional quantiles. Their limiting null distributions are derived under regularity conditions, together with consistency of the proposed tests under the alternative. Monte Carlo simulations demonstrate the good performance of the proposed tests in terms of both stability and power for various time series settings. A real data analysis using the daily returns of the Brent Oil futures also confirms the validity of the tests in real-world applications.

Suggested Citation

  • Sangyeol Lee & Chang Kyeom Kim, 2024. "Test for conditional quantile change in general conditional heteroscedastic time series models," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 76(2), pages 333-359, April.
    • Handle: RePEc:spr:aistmt:v:76:y:2024:i:2:d:10.1007_s10463-023-00889-z
    DOI: 10.1007/s10463-023-00889-z
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